I don't have a favorite.  I will buy from whomever meets the following two criteria first:
Lowest Price
Good ResellerRating/BizRate
More often than not, it ends up being Newegg, ZZF, TigerDirect, MonarchComputer, MWave, and a few others.  I spend about $3-4K/mo on computer parts and I'd say 60% of my business goes to Newegg.  It used to be closer to 85% a while ago, but Newegg has raised shipping on a lot of items which makes me hesitant to order certain items.  For example, if I order 5GB of RAM from Newegg, they charge me a little over $20 to ship it, whereas other companies who base their shipping on weight will charge $8 or less.